S Options History — July 2009 In July 2009, S traded between $4.00 and $4.78. ATM implied volatility averaged 60.1%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 3.7% (HV 20d: 56.3%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.54.
Notable Days 2009-07-29 : Highest Volume — 73,522 contracts2009-07-08 : Largest IV spike — 82.5% change2009-07-28 : Highest IV Rank — 23.7%2009-07-06 : Largest Expected Move — 23.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.46 $4.00 $4.78 $4.61 $4.00 Max Pain $4.09 $4.00 $5.00 $5.00 $4.00 ATM IV 60.1% 33.7% 76.1% 52.8% 57.5% Expected Move 19.7% 15.1% 23.1% 15.1% 16.5% HV 20d 56.3% 47.9% 64.4% 55.2% 59.3% HV 60d 57.8% 54.4% 60.3% 58.8% 56.4% IV Rank 13.5% 0.0% 23.7% 2.7% 13.3% IV Percentile 16.5% 0.0% 37.3% 2.8% 10.7% Term Structure 0.3% -9.4% 15.6% 15.6% 2.1% VWIV 70.2% 53.3% 83.5% 53.3% 57.5% Skew 25d 1.7% -16.0% 21.5% -16.0% 13.7% Skew 10d 2.4% -28.4% 28.1% -17.1% 21.4% Call IV 25d 66.3% 38.3% 82.3% 52.6% 46.4% Put IV 25d 68.0% 36.6% 77.9% 36.6% 60.1% Bid-Ask Spread % 9.73 7.54 16.20 7.54 8.47 Gamma HHI 0.27 0.24 0.36 0.25 0.36 Net GEX 783.4K 588.0K 993.8K 843.6K 682.8K Net DEX -23.2M -36.1M -3.0M -27.7M -4.8M Net VEX -269.1K -304.0K -222.7K -303.0K -226.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.06 2.03 0.06 0.59 Total Volume 19,290.682 2,943 73,522 20,168 4,426 Total OI 466,929.409 406,274 504,807 479,783 489,283
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-07-01 $4.61 $5.00 52.8% 15.1% 55.2% 2.7% 53.3% -16.0% 15.6% 843.6K -27.7M -303.0K 0.06 7.54 N/A N/A 18,966 1,202 317,129 162,654 2009-07-02 $4.32 $5.00 69.3% 19.9% 57.4% 12.8% 75.3% 21.5% 0.7% 718.2K -22.9M -304.0K 0.12 9.73 N/A N/A 11,896 1,395 329,674 162,717 2009-07-06 $4.47 $4.00 74.8% 23.1% 58.7% 16.2% 76.5% 2.7% -3.0% 835.9K -26.6M -303.6K 0.15 7.72 N/A N/A 8,177 1,234 334,948 162,378 2009-07-07 $4.40 $4.00 37.5% 22.7% 58.2% 0.0% 75.8% -1.1% -3.5% 765.5K -23.9M -296.8K 0.16 8.69 N/A N/A 4,261 684 336,636 163,014 2009-07-08 $4.29 $4.00 68.4% 22.7% 58.6% 17.7% 77.2% -7.4% -0.1% 695.4K -18.8M -289.4K 0.26 9.04 N/A N/A 6,450 1,653 337,792 163,256 2009-07-09 $4.46 $4.00 43.4% 21.2% 60.5% 3.4% 74.2% 1.1% 2.4% 801.4K -25.6M -288.0K 0.86 9.41 N/A N/A 17,282 14,795 340,695 164,112 2009-07-10 $4.36 $4.00 33.7% 21.5% 57.5% 0.0% 75.3% -11.2% 0.5% 601.8K -17.9M -277.4K 0.62 7.98 N/A N/A 12,523 7,779 334,921 157,459 2009-07-13 $4.30 $4.00 40.3% 21.4% 54.6% 3.7% 73.5% -7.4% -0.0% 643.6K -17.8M -267.0K 0.28 9.07 N/A N/A 4,738 1,325 331,851 150,043 2009-07-14 $4.38 $4.00 55.2% 20.8% 55.1% 12.0% 72.9% -4.7% 1.4% 669.7K -18.7M -263.7K 0.48 10.46 N/A N/A 9,639 4,666 330,882 149,385 2009-07-15 $4.63 $4.00 56.4% 18.2% 59.1% 12.7% 70.0% 5.5% 7.0% 985.7K -27.4M -271.5K 1.38 10.29 N/A N/A 1,773 2,441 329,435 147,055 2009-07-16 $4.66 $4.00 68.0% 19.5% 55.6% 19.1% 68.9% 8.2% -0.5% 762.7K -28.4M -274.5K 0.98 9.10 N/A N/A 1,485 1,458 330,679 146,482 2009-07-17 $4.59 $4.00 66.6% 19.1% 55.3% 18.4% 70.2% 1.4% 0.6% 744.5K -25.2M -264.7K 0.12 9.97 N/A N/A 8,332 961 326,269 145,117 2009-07-20 $4.75 $4.00 61.1% 17.5% 55.2% 15.3% 62.1% 4.4% 3.4% 811.2K -30.4M -264.8K 2.03 9.84 N/A N/A 3,106 6,302 269,189 137,085 2009-07-21 $4.72 $4.00 63.9% 18.3% 54.5% 16.9% 64.8% 2.4% 0.7% 824.8K -30.4M -262.3K 0.75 10.05 N/A N/A 16,672 12,556 271,039 136,693 2009-07-22 $4.78 $4.00 66.3% 19.0% 54.1% 18.2% 70.4% 0.4% -4.0% 916.9K -36.1M -272.8K 0.15 16.20 N/A N/A 3,885 597 281,661 131,891 2009-07-23 $4.66 $4.00 67.9% 19.5% 53.4% 19.1% 69.3% -0.9% -5.1% 909.7K -32.4M -263.9K 0.69 9.44 N/A N/A 7,370 5,103 286,061 131,453 2009-07-24 $4.52 $4.00 69.7% 20.0% 53.7% 20.1% 75.9% 2.6% -2.8% 827.4K -26.0M -254.6K 0.08 9.68 N/A N/A 47,425 3,616 290,497 132,054 2009-07-27 $4.55 $4.00 72.5% 20.8% 47.9% 21.7% 83.5% -4.7% -6.2% 957.7K -28.6M -258.9K 0.67 12.26 N/A N/A 20,079 13,536 318,883 134,037 2009-07-28 $4.59 $4.00 76.1% 21.8% 47.9% 23.7% 78.3% -4.9% -9.4% 993.8K -31.5M -265.7K 0.66 10.23 N/A N/A 24,458 16,193 319,973 132,952 2009-07-29 $4.05 $4.00 60.5% 17.4% 64.4% 15.0% 60.3% 16.9% 5.5% 655.1K -6.5M -222.7K 0.52 8.17 N/A N/A 48,294 25,228 331,173 143,115 2009-07-30 $4.02 $4.00 59.1% 16.9% 63.1% 14.2% 58.9% 15.2% 1.6% 588.0K -3.0M -223.4K 0.23 10.82 N/A N/A 16,581 3,853 328,749 152,076 2009-07-31 $4.00 $4.00 57.5% 16.5% 59.3% 13.3% 57.5% 13.7% 2.1% 682.8K -4.8M -226.9K 0.59 8.47 N/A N/A 2,776 1,650 339,224 150,059
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